Stock Investment Risk Analysis Using the Value at Risk (VAR) Method
DOI:
https://doi.org/10.24256/kharaj.v8i2.10123Keywords:
Stock Investment, Risk, Value at Risk (VaR), Risk ManagementAbstract
This study aims to analyze stock investment risk using the Value at Risk (VaR) method with a qualitative approach. The main focus of the study is to understand how investors interpret risk and how the VaR concept is understood and applied in investment decision-making practices. The research method used is a descriptive qualitative approach with data collection techniques through in-depth interviews, observation, and documentation. Informants in this study were selected through purposive sampling, namely stock investors who have experience in investment activities and a basic understanding of risk. Data analysis was conducted using an interactive analysis model that includes data reduction, data presentation, and conclusion drawing, with data validity maintained through triangulation and member checks. The results show that most investors have recognized the importance of risk in stock investment, but understanding of the Value at Risk (VaR) method is still uneven. Investors with a financial background tend to better understand and utilize VaR in determining risk tolerance limits and investment strategies, while other investors rely more on an intuitive approach. There is a gap between the theoretical concept of VaR and its implementation in the field, caused by the complexity of the calculation, limited financial literacy, and psychological factors such as emotions and speculative behavior. Nevertheless, VaR still holds significant potential as a risk management tool if supported by adequate understanding and the use of financial technology. In conclusion, the application of the Value at Risk (VaR) method in stock investment is still suboptimal, but it has high relevance in helping investors manage risk more measurably. This research contributes to the understanding of risk management practices from an investor behavioral perspective and emphasizes the importance of integrating technical and psychological approaches in investment decision-making.
References
Adrianto, A. D., Azhari, M., & Khairunnisa. (2018). Perhitungan Value At Risk (Var) Dengan Metode Historis Dan Monte Carlo Pada Saham Sub Sektor Rokok. Jurnal Riset Bisnis Dan Manajemen, 11(1), 1–8.
Aisah, A. N., Santoso, E. K., & Rauf, N. M. (2026). Analisis Investasi Saham Sektor Energi Menggunakan Metode Value At Risk (Var) Dan Conditional Value At Risk (Cvar) Dengan Pendekatan Single Index Model: Studi Kasus Indeks Lq45 Tahun 2025. Ascendia: Journal Of Economic And Business Advancement, 1(3), 186–194.
Amanda, C., & Hulu, D. (2025). Perhitungan Risiko Pasar Saham Bank Central Asia ( Bbca ) Menggunakan Metode Value At Risk ( Var ) Historical Simulation. Joses: Journal Of Sharia Economics Scholar, 3(2).
Ambarsari, A., Sudarno, & Tarno. (2016). Perbandingan Pendekatan Generalized Extreme Value Dan Generalized Pareto Distribution Untuk Perhitungan Value At Risk Pada Portofolio Saham 1. Jurnal Gaussian, 5(3), 361–371.
Dharmawan, K. (2023). Estimasi Nilai Value At Risk Portofilio Menggunakan. Mamen: Jurnal Manajemen, 1(2), 1–11.
Farkhati, F., Hoyyi, A., & Wilandari, Y. (2014). Analisis Pembentukan Portofolio Optimal Saham Dengan Pendekatan Optimisasi Multiobjektif Untuk Pengukuran Value At Risk Fiki. Jurnal Gaussian, 3(2007), 371–380.
Haryanti, T. (2019). Konsistensi Pengukuran Value At Risk Jangka Pendek Dan Jangka Panjang Pada Saham Perbankan Papan Atas Dalam Index Lq45 Periode. Mabis: Jurnal Manajemen Bisnis Syariah, 1(2), 1–9.
Jatnika, N. S., Sorta, E., & Nababan, M. (2022). Optimisasi Multiobjektif Dalam Pembentukan Portofolio Optimal Saham Dengan Pengukuran Value At Risk (Var). Journal Of Fundamental Mathematics And Applications, 5(1), 1–9.
Lestdwinanto, H. (2016). Perbandingan Metode Value At Risk Antara Metode Risk Metric , Historical Back Simulation , Dan Monte Carlo Simulation Dalam Rangka Memprediksi Risiko Investasi Pada Properti Periode 2008-2014. Jurnal Ekonomi, Manajemen Dan Perbankan, 2(1), 18–30.
Nugrahaeni, I., Perdana, H., Satyahadewi, N., Nugrahaeni, I., & Perdana, H. (2024). Perbandingan Value At Risk Dan Expected Shortfall Pada Portofolio Optimal Menggunakan Metode Downside Deviation Perbandingan Value At Risk Dan Expected Shortfall Pada Portofolio Optimal Menggunakan Metode Downside Deviation. Research Article, 6(2), 176–181.
Nurhaliza, A., Saputra, A., Carlo, S. M., & Historis, S. (2025). Kontan : Evaluasi Akurasi Value At Risk Metode Simulasi Historis Melalui Backtesting Pada Saham Bbca Tahun 2024. Jurnal Ekonomi, Manajemen Dan Bisnis, 4(3). Https://Doi.Org/10.59818/Kontan.V4i3.2269
Rapang, D., Mongan, B., & Halik, J. B. (2024). Analisis Resiko Pasar Saham Berdasarkan Value At Risk Pada Perusahaan Telekomunikasi Yang Tercatat Di Bei. Yos Soedarso Economics Journal, 6(2), 78–85.
Ridha, M. N. N., & Khoiruddin, M. (2018). Konsistensi Pengukuran Value At Risk Pada Saham Syariah Dengan Metode Historis. Management Analysis Journal, 7(1), 1–10.
Rizeki, V., Priyantono, A., Maruddani, D. A. I., & Utami, I. T. (2023). Analisis Portofolio Optimal Menggunakan Model Indeks Tunggal Dan Pengukuran Value At Risk Dengan Simulasi Monte Carlo (Studi Kasus: Exchange Traded Fund Di Bursa Efek Indonesia Periode Januari 2021 – Juni 2022). Jurnal Gaussian, 12(2), 158–165. Https://Doi.Org/10.14710/J.Gauss.12.2.158-165
Seru, F., Jannah, M., & Tandiangnga, T. (2024). Implementation Of Jump Diffusion To Predict Stock Prices And Risk Analysis Using Value At Risk And Expected Shortfall ( Case Study : Pt . Indofood Sukses Makmur Tbk ). Jurnal Matematika, Statistika Dan Komputasi, 20(3), 680–692. Https://Doi.Org/10.20956/J.V20i3.33261
Setiani, Maruddani, D. A. I., & Ispriyanti, D. (2021). Value At Risk (Var) Metode Delta-Normal Berdasarkan Durasi Untuk Ukuran Risiko Obligasi Pemerintah. Jurnal Gaussian, 10(2007), 455–465.
Simulasi, D., & Carlo, M. (2025). Pengukuran Value At Risk Pada Aset Tunggal Dan Portofolio Dengan Simulasi Monte Carlo. Mabis: Jurnal Manajemen Bisnis Syariah, 1(2), 93–104.
Somantri, A., Maruddani, D. A. I., & Hoyyi, A. (2013). Pengukuran Risiko Kredit Obligasi Korporasi Dengan Credit Value At Risk (Cvar) Dan Optimalisasi Portofolio Menggunakan Metode Mean Variance Efficient Portfolio (Mvep). Jurnal Gaussian, 2(3), 147–156.
Taruna, R., Yafiz, M., & Syahbudi, M. (2023). Analisis Pengukuran Risiko Pembiayaan Dengan Metode Value At Risk (Var) Pada Bprs Di Indonesia Periode 2015-2021. Sanjana, 5(1), 1–19.
Wahidah, N. R., Nasution, Y. N., & Rizki, N. A. (2018). Analysis Of Value At Risk Of Stock Portfolio Using Varian-Kovarian Method (Case Study: Daily Share Price Closing Of Pt Astra Agro Lestari Tbk And Pt.Pp London Sumatra Indonesia Tbk From July To December 2016) Nur. Jurnal Eksponensial, 9(2), 119–126.
Downloads
Published
How to Cite
Issue
Section
Citation Check
License
Copyright (c) 2026 Siti Aisyah, Abdul Wahab, Marjono, Prayetno, Nicholas Renaldo
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-ShareAlike 4.0 International License. In line with the license, authors are allowed to share and adapt the material. In addition, the material must be given appropriate credit, provided with a link to the license, and indicated if changes were made. If authors remix, transform or build upon the material, authors must distribute their contributions under the same license as the original.
